Momentum profits and time-varying unsystematic risk

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dc.contributor.author Li, Xiafei
dc.contributor.author Miffre, Joëlle
dc.contributor.author Brooks, Chris
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2013-11-29T14:41:21Z
dc.date.available 2013-11-29T14:41:21Z
dc.date.issued 2008-04
dc.identifier.citation LI, X., MIFFRE, J., BROOKS, C. & O’SULLIVAN, N. 2008. Momentum profits and time-varying unsystematic risk. Journal of Banking & Finance, 32, 541-558. doi: http://dx.doi.org/10.1016/j.jbankfin.2007.03.014 en
dc.identifier.volume 32 en
dc.identifier.issued 4 en
dc.identifier.startpage 541 en
dc.identifier.endpage 558 en
dc.identifier.issn 0378-4266
dc.identifier.uri http://hdl.handle.net/10468/1271
dc.identifier.doi 10.1016/j.jbankfin.2007.03.014
dc.description.abstract This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Elsevier en
dc.relation.uri http://www.sciencedirect.com/science/article/pii/S0378426607001872
dc.rights Copyright © 2007 Elsevier B.V. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance [Volume 32, Issue 4, April 2008, Pages 541–558] http://dx.doi.org/10.1016/j.jbankfin.2007.03.014 en
dc.subject Momentum profits en
dc.subject Unsystematic risk en
dc.subject GJR-GARCH(1,1)-M model en
dc.title Momentum profits and time-varying unsystematic risk en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2013-07-02T15:42:19Z
dc.description.version Accepted Version en
dc.internal.rssid 19164049
dc.description.status Peer reviewed en
dc.identifier.journaltitle Journal of Banking and Finance en
dc.internal.copyrightchecked No I did receive permission to place this on SSRN. CORA - Checked ROMEO. Accepted Version permitted. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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